Electricity Wholesale Market Data: July 26, 2012

Published: July 26, 2012

Wholesale Market Data

Report Released: July 26, 2012
Next Release Date: August 09, 2012

Intercontinental Exchange (ICE) data, republished with permission. Includes: daily volumes, high and low prices, and weighted average prices for ten major electricity trading hubs around the country from 2001 forward. Data are updated by EIA biweekly.

About the Intercontinental Exchange (ICE)
For prompt or ‘Day Ahead’ markets in North American power, ICE is a major execution venue for over-the-counter (OTC) trading. These power indices are taken directly from transactions executed on the ICE platform representing approximately 70 percent of next day trading activity.

Currently, more than two dozen hubs -- or delivery points -- can be traded throughout the major FERC power regions in North America. ICE’s OTC participants are some of the world’s largest energy companies, financial institutions, and other active members in the global commodity markets. Participants include refiners, power stations, utilities, chemical and transportation companies, banks and hedge funds, as well as other energy and financial industry professionals.

About the ICE data
For the power index, all qualifying Day Ahead physical firm power contracts traded on ICE from 6:00 AM to 11:00 AM CST on the day of publication are included.

Calculation of the weighted average prices (indices)
The power indices are developed using the following formula:

I = Σ (P • V) / T

where:

I = Volumetric Weighted Average Index Price,
P = price or premium of individual transaction,
V = volume of individual transaction,
∑(P●V) = sum of each transaction's price multiplied by its volume,
T = total volume of all qualifying transactions.

In addition to the price filters on the Intercontinental trading platform in accordance with their Fair Trading initiative, the following types of trades are considered "non-qualifying", and are not included in the 10x indices:

Trades done between two companies that are owned by the same parent company

Price basis spread legs, i.e. spread trades that are executed on a trading platform that subsequently are converted into two outright prices for trade reporting purposes

Deals that have been consummated but then cancelled or altered by the counterparties before confirmation

Trades where counterparties reverse a trade within two minutes of the previous transaction

Option Trades Deals that fall outside of the given time period for each index

The following data are published for each hub quoted:

Location - as defined in the ICE Product Guide

High - the absolute high price for the period

Low - the absolute low price for the period

Index - weighted average price

Volume - total contracts traded for the period counting the sell side only

No. of Trades - number of trades confirmed through ICE and eConfirm that were used in the index calculation

No. of Companies - number of companies that participated in the index related transactions